Our oil furnace is cracked and we have to get a one, luckily the home warranty that came with our house will cover the cost of replacement.
Now we are wondering what better options would be since the cost of oil is so high.
The furnace guy suggested getting an electric heat pump. He said we'd still replace the oil furnace (which would be more efficient of an oil furnace that what we have now). He said we'd go through one tank of oil every 2-3 years depending on how warm we keep our house (which is not very warm at all!). We go through 3-4 tanks a year now. He said the oil furnace would only kick on when it dropped below 30 degrees outside.
The other option would be to convert to natural gas heating.
So which is more efficient, an electric heat pump with oil heat as backup OR natural gas?

The most annoying part is that there are no heat vents anyway on the room we use most is an addition built over a garage (and exposed on 3 sides to the outside)! We use an electric space heater but because the room is so large (400 sq feet), it is never really toasty in here. I want to spend the $3-5K it'd cost to put a pellet stove in here. Our bedrooms are over another garage so they are also cold in the winter, but they do have vents at least.

both. If your going to switch to natural gas (cheaper than oil) also install a heat pump (cheaper than oil and natural gas down to 35 degree outdoor temp). This is called a dual fuel system. Same idea as having a heat pump and an oil furnace.